Hello,
is there a possibility to retrieve time series for bid & ask prices in RHistory API? In particular, I am interested in CFI2Zc1 historical bid/ask at a specific time.
Thanks.
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It's perfectly possible. Set FieldList property of RHistoryAPI.RHistoryQuery object to "TRDPRC_1.Bid;TRDPRC_1.Ask" and RequestParams property of the same object to "INTERVAL:TAQ END:YYYY-MM-DD:HH:MM NBROWS:1", where YYYY-MM-DD:HH:MM is the date and time for which you need the quotes in the specified format.
For data retrieval modeling I suggest you use Formula Builder wizard to create an instance of RHistory worksheet function. And then you can copy & paste the field names and parameters into your VBA code using RHistory API.
